|
PureBytes Links
Trading Reference Links
|
"Since backtest results are improved, that theory seems to make sense. It
does not mean that we know what Friday's prices will be."
Of course backtests will be improved-you'd have an excellent chance of
winning the BACKTEST game.
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf
Of Ara Kaloustian
Sent: Sunday, March 04, 2007 7:46 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Backtest - using Multiple Time Frames
Tomasz,
Thanks for your comments on "ExpandFirst".
I am fully aware of how AB treats the data and that it is obviously
incorrect to assume we know friday's price based on any other day of the
week.
My point is that on a statistical basis, if prices are up during the week,
that seems to signify a potential for continued price increases for at least
a short period of time.
Since backtest results are improved, that theory seems to make sense. It
does not mean that we know what Friday's prices will be.
If the prices went down by Friday on a statistical basis, then the results
should be worse with "ExpandFirst".
So, I am just testing a trading theory, even though clearly a price on any
day prior to Friday is not the correct price for Friday.
Ara
----- Original Message -----
From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, March 04, 2007 3:35 PM
Subject: Re: [amibroker] Re: Backtest - using Multiple Time Frames
> It is already clearly explained in the manual:
> http://www.amibroker.com/guide/h_timeframe.html
>
> It says:
> "Caveat: expandFirst used on price different than open may look into the
> future. For example if you create weekly HIGH series,
> expanding it to daily interval using expandFirst will enable you to know
> on MONDAY what was the high for entire week."
>
> So shortly: do NOT use expandFirst in backtests / trading systems. This
> functionality is mainly for charting.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Hetal" <hetal_mba@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, March 04, 2007 11:01 PM
> Subject: [amibroker] Re: Backtest - using Multiple Time Frames
>
>
>> Hello,
>>
>> What i have observed here is
>> With using expandfirst i was able to get the same value of a moving
>> avaerage or any oscillator if i had plotted it on daily chart from
>> weekly compressed data the reading of the ma or oscillator is very
>> near if i happen to see how the weekly charts look say on any day
>> before friday The readings tally in weekly as well as on daily chart
>> with weekly comprerssed data.
>>
>> ANd i think that is more important. that the numbers tally in daily
>> with weekly compressed chart & pure weekly mode charts.
>>
>> I think we need some clarity from the Boss.
>>
>> Regards
>>
>> hetu
>>
>>
>> -
>> -- In amibroker@xxxxxxxxxxxxxxx, "Chris DePuy" <cdepuy@xxx> wrote:
>>>
>>> I'm no expert at this, but my experience is:
>>>
>>> Using this expandfirst will cause many false signals in actual
>> trading. This is because your signals will effectively be
>> overwritten. I've backtested some expandfirst systems with awsome
>> results only to find that when trading these, you don't actually
>> create buy and sell signals the same way in backtest as you would if
>> you move forward in time (eg tick replay or real-life).
>>>
>>> ----- Original Message -----
>>> From: Ara Kaloustian
>>> To: AB-Main
>>> Sent: Sunday, March 04, 2007 11:01 AM
>>> Subject: [amibroker] Backtest - using Multiple Time Frames
>>>
>>>
>>>
>>> I was reviewing some of my work ... an item jumped at me and I'd
>> like to open it up for comments / discussion.
>>>
>>> I had some tests using "ExpandFirst" to decompress weekly data on
>> daily chart,
>>> that produced significantly better results that when I
>> used "ExpandLast".
>>>
>>> There was some posting a while back why it is inapropriate to
>> use "ExpandFirst". Specifically that the value of array on Friday is
>> assummed to be known from beginning of week.
>>>
>>> A little bit of philosophy here ...
>>>
>>> Granted that "ExpandFirst" does assume we know values for Friday
>> from Monday's data ... BUT is that necessarily a bad thing. Why can
>> we not look at it as "advanced forsight"?
>>>
>>> My thinking is that if we get an improvement in prices early in
>> the week, statistically they will be somewhat reflected at the end of
>> the week also, so that using those prices with "ExpandFirst" is "more
>> right" than "wrong".
>>>
>>> Using Multiple time frames (weekly AND daily) should insure that
>> the statistical edge mentioned above will likely be true because it
>> is unlikely that a trade signal will be generated erroneously from
>> both daily and weekly timeframes.
>>>
>>> Appreciate your thoughts.
>>>
>>> Ara
>>>
>>
>>
>>
>>
>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>
>> Yahoo! Groups Links
>>
>>
>>
>>
>>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
------------------------ Yahoo! Groups Sponsor --------------------~-->
Transfer from your equities account.
Receive up to $1,000 from GFT. Click here to learn more.
http://us.click.yahoo.com/aZttyC/X_xQAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|